Jonas Hallgren
Mathematical Statistics
Mathematical Statistics Faculty
Papers
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Nowcasting with Dynamic Data Masking. Work in progress.
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Measuring Causality in Multivariate High-Frequency Time Series with Probabilistic Graphical Models.
Work in progress.
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Testing for Causality in Continuous Time Bayesian Network Models of High-Frequency Data.
Preprint (arXiv).
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Decomposition Sampling applied to Parallelization of
Metropolis-Hastings. Preprint
(arXiv).
Conference Talks
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Nowcasting with Dynamic Data Masking
and Regularized Regression.
PDF
Conference on Computational and Financial Econometrics (CFE 2015),
London, December 2015.
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An Algorithm for Parallelization of MCMC.
The Swedish Research Students Conference in Statistics,
Stockholm, April 2013.
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Calibration of Stochastic Volatility Models using Particle Markov
Chain Monte Carlo Methods.
PDF.
Bachelier Finance Society 7th World Congress (BFS 2012), Sydney, June
2012.
Other
Address:
Department of Mathematics
Royal Institute of Technology
SE-100 44 Stockholm
Sweden
Email: jonas math kth se
Phone: +46 8 790 66 19
Office: 3729
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